nmecsys / nowcasting

R package for Dynamic Factor Models with mixed frequencies and unbalanced panel :chart_with_downwards_trend:
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Wrong result while replicating NYFED model #13

Open Deamonell opened 2 years ago

Deamonell commented 2 years ago

Hi!

First of all, thank you for this great package, it is a pleasure to see a lot of tools (especially vintages based on the delay) made in such a simple form.

I've been working with an NYFED-like model for several years for Ukraine, but I've done it in MATLAB (where the original model is coded). Then I was asked to replicate it in R, my primary language.

I've found several possible issues, one of which is that results from MATLAB and R codes don't correspond to each other. Databases are exactly the same. There was an issue with transformations (they're different in raw codes), but I've fixed it and have made the same transformations for both cases (yoy for all variables, I know that economically its nonsense, but I want to simplify the statistical part as strong as possible).

But still, the result isn't the same. The intriguing part is that not only a nowcast doesn't correspond, the missed/filtered observations (for example GDP) are different.

Thank you for your attention and help!